Banque de France
International Macroeconomics Division
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NBER Working Papers and Publications
|February 2018||The New Fama Puzzle|
with Matthieu Bussiere, Menzie D. Chinn, Jonas Heipertz: w24342
We re-examine the Fama (1984) puzzle – the finding that ex post depreciation and interest differentials are negatively correlated, contrary to what theory suggests – for eight advanced country exchange rates against the US dollar, over the period up to February 2016. The rejection of the joint hypothesis of uncovered interest parity (UIP) and rational expectations – sometimes called the unbiasedness hypothesis – still occurs, but with much less frequency. Strikingly, in contrast to earlier findings, the Fama regression coefficient is positive and large in the period after the global financial crisis. However, using survey based measures of exchange rate expectations, we find much greater evidence in favor of UIP. Hence, the main story for the switch in Fama coefficients in the wake of the ...
|May 2013||Post-recession US Employment through the Lens of a Non-linear Okun's law|
with Menzie D. Chinn, Valérie Mignon: w19047
This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun's law based on a smooth transition error-correction model that simultaneously accounts for long-term relationships between growth and employment and short-run instability over the business cycle. Our findings based on out-of-sample conditional forecasts show that, since the exit of the 2008-09 recession, US employment is on average around 1% below the level implied by the long run output-employment relationship, meaning that about 1.2 million of the trend employment loss cannot be attributed to the identified cyclical factors.
Published: Journal of Macroeconomics Volume 42, December 2014, Pages 118–129 Cover image Explaining US employment growth after the great recession: The role of output–employment non-linearities Menzie Chinna, , , Laurent Ferrarab, , Valérie Mignonc,